Stochastic optimal control and BSDEs with logarithmic growth

DOI10.1016/J.BULSCI.2011.12.008MaRDI QIDQ452075zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Brahim El Asri

Publication date 19 September 2012

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.1298

zbMATH Keywords

backward stochastic differential equationsstochastic controlzero-sum stochastic differential games

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Mathematical economics (91B99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs in connection with control and optimization (35Q93) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with logarithmic growth in the $z$-variable and terminal value in some $L^p$ space. We also show the existence and uniqueness of solution of this BSDE.

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Cites work

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Cited in

(12)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Existence and uniqueness of multidimensional BSDEs and of systems of degenerate PDEs with superlinear growth generator
• One dimensional reflected BSDEs with two barriers under logarithmic growth and applications
• Locally Lipschitz BSDE with jumps and related Kolmogorov equation
• On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth
• Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems
• Backward doubly SDEs and SPDEs with superlinear growth generators
• Stochastic zero-sum differential games and backward stochastic differential equations
• One dimensional BSDEs with logarithmic growth application to PDEs
• Stochastic control and BSDEs with quadratic growth
• BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
• Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs

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